I pursued two competing theories about insider stock holding levels and analyst recommendations. The complementary hypothesis states that top... Show moreI pursued two competing theories about insider stock holding levels and analyst recommendations. The complementary hypothesis states that top management and analysts conduct actions in a comparable manner; the contradicting hypothesis states that insiders and analysts exhibit opposite market actions (Hsieh and Ng, 2019). I examined insider stock holding levels and analyst recommendations. I analyzed a sample of S&P 500 firms from 2011-2020. In this sample, I found that the relationship between insider holding levels and analyst recommendations are opposite in concurrent time periods; thus, supporting the contradictory hypothesis. I also analyzed lagged insider holdings levels in a granger causality test. This test supports the idea that top management stock holdings increase when analysts downgrade stocks, and the opposite effect it true when analysts upgrade stocks. Using a sample of S&P 500 firms from 2011 – 2020, I provided support to my hypothesis that aggregated analyst recommendations forecast future aggregate equity returns. Furthermore, I conducted a test to support my conclusion that changes to insider holding levels should be used to forecast changes in future equity returns, beyond what is already explained by analyst recommendations. I argue two compelling additions that I make to the existing body of work regarding aggregate stock prediction. First, I build upon existing papers by using Bloomberg aggregate analyst recommendations as opposed to the IBES datasets. Second, I expand upon recent index forecasting papers by incorporating both aggregate analyst recommendations and aggregate insider holding levels into aggregate stock return models. Show less
Query
(-) mods_name_creator_namePart_mt:"Gogolak, William Peter"
